Só tenho a dizer isto: há 3 ou 4 oportunidades destas num ano.
Long-time readers know that I love to follow the CBOE Volatility Index (VIX) as a
barometer of investor fear or complacency. I believe that when the VIX hits
relatively high levels, options players are typically panicking. Their rush to buy
puts as the market drops sends the volatility priced into put options surging,
resulting in higher-than normal VIX readings. In contrast, when no one wants puts to
insure their portfolios or to bet on the downside, the volatilities priced into these
options tend to dwindle, showing a lack of worry about future downside risk.
Historically that is just the time when you should be positioning for downside in the
markets, as I pointed out in prior alerts in late-November 2002 as well as March
2002.
We are currently at another one of those junctures where most investors are showing a
surprising lack of worry despite a rather uninspiring market. In the past three
weeks the VIX has plunged from a high at 41.16 to Tuesday's close at 26.04. I
analyze the VIX in this case based on 20-week Bollinger Bands to measure what is a
relatively low or relatively high volatility level. Using plus and minus two
standard deviations, the VIX should typically trade within these bands roughly 95% of
the time. So trading outside of these bands is relatively unusual, and often signals
a turning point is near. As you can see from the weekly chart of the VIX below
compared to the Dow Industrials, the tags of the lower band on the VIX have been
particularly good times to bet that a market top was in the making. Followers of the
CBOE Nasdaq Volatility Index (VXN) will also note that this index has also tagged its
lower weekly Bollinger Band to add further confirmation of a relative volatility low
point marking trouble for the Nasdaq indexes also over the next several months.
These bearish signals are not reversed until we see the upper band tagged, which for
the VIX is currently at 39.67.
Dow Industrial Average with VIX (weekly)
Nasdaq Composite with VXN (weekly)
What's more disturbing about the recent plunge in the VIX is that it has come amid a
relatively uninspiring market performance this past month. From the prior peak in the
VIX on March 12 at 41.16, the Dow gained 13.3% to date. Previous rallies from prior
VIX peaks were much stronger, most notably +25.6% off the October 2002 low and over
32% off the September 2001 bottom. This concerns me that the rally we should have
seen as war fears faded was weak for a reason, and that the ensuing decline could be
particularly nasty. Given that stocks are nearing the end of their favorable
six-month seasonal period at the end of April, this further adds concern as we move
into the historically weak May-October seasonality.
This low VIX sell signal is only bad news for those who are unaware of it or have no
way to profit from it. I expect there to be tremendous profit opportunities in
bearish positions using short sales of stocks and futures, bearish mutual funds, and
put options. If you are not set up to use one or more of these bearish vehicles, you
owe it to yourself to learn more about how you can do better than cash in the coming
market downturn. If you have questions about any of these bear tools, email me at [email protected].
Se não receio o erro é porque estou sempre pronto a corrigi-lo
There's no bull side and no bear side. JUST THE RIGHT SIDE!
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